Estimating GARCH parameters using fmincon
2 views (last 30 days)
Show older comments
Hi,
I am using the following code to estimate the garch parameters. However I get the following message:
fmincon stopped because it exceeded the function evaluation limit, options.MaxFunEvals = 300 (the default value).
I have increased the value, but am getting the same message?!?!
-------------------------------------------------------------------
par0 = [0.00001,0.09,0.89];
A = [0,1,1];
b = 1;
[par,fval] = fmincon(@GarchParameters,par0,A,b,[],[],[0,0,0],[]);
--------------------------------------------------------------
function LLF = GarchParameters(par)
data = xlsread('FTSEPrices.xlsx');
Prices = data;
T = length(Prices);
LogReturns = zeros(T-1,1);
for i = 1:T-1
LogReturns(i) = log(Prices(i+1)/Prices(i));
end
AverLogReturns = mean(LogReturns);
ErrorTermSquared = (LogReturns - AverLogReturns).^2;
AverageErrorTermSquared = mean(ErrorTermSquared);
ConditionalVariance = zeros(T,1);
ConditionalVariance(1) = par(1)+par(2)*AverageErrorTermSquared + par(3)
*AverageErrorTermSquared;
for i = 2:T
ConditionalVariance(i) = par(1) + par(2)*ErrorTermSquared(i-1) + par(3)
*ConditionalVariance(i-1);
end
ConditionalVariance = ConditionalVariance(2:end);
LLF = 0.5*sum(log(ConditionalVariance))+0.5*(sum(ErrorTermSquared.
/ConditionalVariance));
--------------------------------------------------------------------
Please help
Thanks Jen
0 Comments
Answers (0)
See Also
Categories
Find more on Conditional Variance Models in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!